Structural change in the correlation, return and volatility spillovers: evidence from the oil, stock and exchange rate markets in the United States

References

• Amano, R. A., & Norden, S. V. (1998). Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance, 17(2), 299–316. https://doi.org/10.1016/S0261-5606(98)00004-7
   Web of Science ®Google Scholar
• Aslam, F., Ferreira, P., Mughal, K. S., & Bashir, B. (2021). Intraday volatility spillovers among European financial markets during COVID-19. International Journal of Financial Studies, 9(5). https://doi.org/10.3390/ijfs9010005
   Google Scholar
• Baba, Y., Engle, R. F., Kraft, D. K., & Kroner, K. (1990). Multivariate simultaneous generalized ARCH. Unpublished Manuscript.
   Google Scholar
• Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. https://doi.org/10.2307/2998540
   Web of Science ®Google Scholar
• Braione, M., & Scholtes, N. K. (2016). Forecasting value-at-risk under different distributional assumptions. Econometrics, 4(4), 3–27. https://doi.org/10.3390/econometrics4010003
   Google Scholar
• Cevik, N. K., Cevik, E. I., & Dibooglu, S. (2020). Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. Journal of Policy Modeling, 42(3), 597–614. https://doi.org/10.1016/j.jpolmod.2020.01.006
   Web of Science ®Google Scholar
• Chang, C. L., McAleer, M., & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25, 116–138. https://doi.org/10.1016/j.najef.2012.06.002
   Web of Science ®Google Scholar
• Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
   Web of Science ®Google Scholar
• Do, A., Powell, R., Yong, J., & Singh, A. (2020). Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCCEGARCH models. The North American Journal of Economics and Finance, 54, 101096. https://doi.org/10.1016/j.najef.2019.101096
   Web of Science ®Google Scholar
• Eizaguirre, J. C., Biscarri, J. G., & Hidalgo, F. P. D. G. (2004). Structural changes in volatility and stock market development: Evidence for Spain. Journal of Banking & Finance, 28(7), 1745–1773. https://doi.org/10.1016/j.jbankfin.2003.06.004
   Web of Science ®Google Scholar
• Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The Arch-M model. Econometrica, 55(2), 391–407. https://doi.org/10.2307/1913242
   Web of Science ®Google Scholar
• Erdoğan, S., Gedikli, A., & Çevik, E. İ. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa Istanbul Review, 20(4), 322–333. https://doi.org/10.1016/j.bir.2020.04.003
   Web of Science ®Google Scholar
• Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
   Web of Science ®Google Scholar
• Gomez-Gonzalez, J. E., Hirs-Garzon, J., & Sanín-Restrepo, S. (2021). Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. International Economics, 165, 37–50. https://doi.org/10.1016/j.inteco.2020.11.004
   Google Scholar
• Green, S. P. (2004). Equity Politics and Market Institutions: The Development of Stock Market Policy and Regulation in China, 1984–2003. Available at SSRN: http://ssrn.com/abstract=509342
   Google Scholar
• Gulzar, S., Kayani, G. M., Xiaofeng, H., Ayub, U., & Rafique, A. (2019). Financial cointegration and spillover effect of global financial crisis: A study of emerging Asian financial markets. Economic Research-Ekonomska Istraživanja, 32(1), 187–218. https://doi.org/10.1080/1331677X.2018.1550001
   Web of Science ®Google Scholar
• Hameed, Z., Shafi, K., & Nadeem, A. (2021). Volatility spillover effect between oil prices and foreign exchange markets. Energy Strategy Reviews, 38, 100712. https://doi.org/10.1016/j.esr.2021.100712
   Web of Science ®Google Scholar
• Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics, 103(1-2), 183–224. https://doi.org/10.1016/S0304-4076(01)00043-4
   Web of Science ®Google Scholar
• Jarque, C. M., & Bera, A. K. (1987). A test for normality of observations and regression residuals. International Statistical Review / Revue Internationale de Statistique, 55(2), 163–172. https://doi.org/10.2307/1403192
   Web of Science ®Google Scholar
• Jebabli, I., Kouaissah, N., & Arouri, M. (2021). (July 2021). volatility spillovers between stock and energy markets during crises: A comparative assessment between the 2008 global financial crisis and the covid-19 pandemic crisis. Finance Research Letters, 102363. https://doi.org/10.1016/j.frl.2021.102363
   Web of Science ®Google Scholar
• Kitamura, Y. (2010). Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets. Research in International Business and Finance, 24(2), 158–171. https://doi.org/10.1016/j.ribaf.2009.11.002
   Google Scholar
• Kumar, M. (2013). Returns and volatility spillover between stock prices and exchange rates: Empirical evidence from IBSA countries. International Journal of Emerging Markets, 8(2), 108–128. https://doi.org/10.1108/17468801311306984
   Google Scholar
• Moschini, G. C., & Myers, R. J. (2002). Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach. Journal of Empirical Finance, 9(5), 589–603. https://doi.org/10.1016/S0927-5398(02)00012-9
   Google Scholar
• Özer, M., Kamenković, S., & Grubišić, Z. (2020). Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets. Economic Research-Ekonomska Istraživanja, 33(1), 1–25. https://doi.org/10.1080/1331677X.2019.1699138
   Web of Science ®Google Scholar
• Su, J. B. (2014). The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio’s value-at-risk estimate. The Journal of Risk Model Validation, 8(4), 69–127. https://doi.org/10.21314/JRMV.2014.130
   Web of Science ®Google Scholar
• Su, J. B. (2015). Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market. Economic Modelling, 46, 204–224. https://doi.org/10.1016/j.econmod.2014.12.022
   Web of Science ®Google Scholar
• Su, J. B. (2016). How the quantitative easing affect the spillover effects between the metal market and United States dollar index? Journal of Reviews on Global Economics, 5, 254–272. https://doi.org/10.6000/1929-7092.2016.05.22
   Google Scholar
• Su, J. B., & Hung, K. (2017). The assessment of the United States quantitative easing policy: Evidence from global stock markets. International Journal of Finance & Economics, 22(4), 319–340. https://doi.org/10.1002/ijfe.1590
   Web of Science ®Google Scholar
• Yang, S. Y., & Doong, S. C. (2004). Price and volatility spillovers between stock prices and exchange rates: Empirical evidence from the G-7 countries. International Journal of Business and Economics, 3(2), 139–153.
   Google Scholar